Artikel
The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes
The performance of analysts' forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill this void by estimating a Fama-French model regression with AFD as a factor. Instead of an expected linear relationship, a nonlinear U-shape relationship between the AFD and excess returns is found.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 2 ; Year: 2009 ; Issue: 1 ; Pages: 75-93 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Asymmetric and Private Information; Mechanism Design
Information and Market Efficiency; Event Studies; Insider Trading
Accounting
- Thema
-
Analyst forecast dispersion
Stock market crash
Fama-French three-factor model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chong, Terence Tai-leung
Wang, Xiaolei
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2009
- DOI
-
doi:10.3390/jrfm2010075
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Chong, Terence Tai-leung
- Wang, Xiaolei
- MDPI
Entstanden
- 2009
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